Guillermo Benavides

Banco de Mexico

Cinco de Mayo # 2

Mexico DF , 06059

Mexico

Universidad del Valle de Mexico

Calzada de Tlalpan No. 3058. Santa Ursula Coapa

Distrito Federal, 29000

Mexico

http://ssrn.com/author=386155

SCHOLARLY PAPERS

18

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5

CROSSREF CITATIONS

14

Scholarly Papers (18)

1.

The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: The Case of Corn and Wheat

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 32 Posted: 24 Feb 2002 Last Revised: 05 Oct 2008
Guillermo Benavides
Banco de Mexico
Downloads 1,571 (11,757)
Citation 1

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Agricultural commodities, BEKK model, multivariate GARCH, Samuelson hypothesis, theory of storage

2.
Downloads 1,094 (20,515)
Citation 4

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Agricultural commodities, BEKK model, multivariate GARCH, Samuelson Hypothesis, theory of storage

3.

GARCH Processes and Value at Risk: An Empirical Analysis for Mexican Interest Rate Futures

Panorama Socioeconómico, Vol. 25, No. 35, pp. 92-105
Number of pages: 36 Posted: 05 Oct 2008
Guillermo Benavides
Banco de Mexico
Downloads 351 (91,151)

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bootstrapping, GARCH, interest rates, Mexico, Value at Risk, volatility persistence

4.

Predictive Accuracy of Futures Options Implied Volatility: The Case of the Exchange Rate Futures Mexican Peso-U.S. Dollar

Number of pages: 47 Posted: 10 Oct 2004 Last Revised: 17 Jul 2008
Guillermo Benavides
Banco de Mexico
Downloads 349 (91,735)
Citation 1

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Composite forecast models, exchange rates, multivariate GARCH, option implied volatility, volatility forecasting

5.

Are Loan Guarantees Effective? The Case of Mexican Government Banks

Number of pages: 48 Posted: 28 Jul 2005 Last Revised: 20 Aug 2008
Guillermo Benavides and Alberto Huidobro
Banco de Mexico and Bank of Mexico
Downloads 323 (99,972)
Citation 1

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Adoption incentives, bank credit, government-loan guarantees, Mexican banks

6.
Downloads 299 (108,873)

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Asymmetric volatility, bootstrapping, GARCH model, TARCH model, inflation, inflation-indexed futures, Mexico, Value at Risk, volatility persistence

7.

Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of GARCH, Option Implied and Composite Forecast Models

Banco de Mexico, Research Document No. 2006-04
Number of pages: 42 Posted: 17 Dec 2008
Guillermo Benavides
Banco de Mexico
Downloads 200 (162,751)

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Composite forecast models, Exchange rates, Multivariate GARCH, Option implied

8.

Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts

Number of pages: 34 Posted: 29 Aug 2008 Last Revised: 20 Jan 2009
Guillermo Benavides and Carlos Capistrán
Banco de Mexico and Banco de México
Downloads 190 (170,545)
Citation 3

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Composite Forecasts, Forecast Evaluation, GARCH, Implied volatility, Mexican Peso - U.S. Dollar Exchange Rate, Regime-Switching

9.

Parametric vs. Non-Parametric Methods for Estimating Option Implied Risk-Neutral Densities: The Case of the Exchange Rate Mexican Peso-US Dollar and Mexican Interest Rates

Ensayos Revista de Economía, Vol. 27, No. 1, May 2008
Number of pages: 49 Posted: 25 Jan 2007 Last Revised: 17 Nov 2008
Guillermo Benavides and Israel Mora
Banco de Mexico and University of Essex
Downloads 186 (173,879)
Citation 1

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Currency option implied volatility, exchange rates, interest rates, parametric methods, non-parametric methods, risk-neutral densities

10.

Futures for Farmers: Hedging Participation and the Mexican Corn Scheme

Number of pages: 30 Posted: 28 Feb 2005
Guillermo Benavides and Nicholas Snowden
Banco de Mexico and Lancaster University - Department of Economics
Downloads 185 (174,708)
Citation 1

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Farmers, hedging incentives, subsidies, Mexico

11.
Downloads 95 (292,861)
Citation 1

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Exchange rate interventions, market expectations, Mexican Peso-USD Exchange Rate, Risk-Neutral Densities, Volatility Function Technique

12.

A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008

Banco de Mexico Research Document No. 2009-10
Number of pages: 25 Posted: 02 May 2010 Last Revised: 09 May 2010
Guillermo Benavides and Carlos Capistrán
Banco de Mexico and Banco de México
Downloads 46 (428,627)

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Corto, Granger causality, Multiple structural breaks, Multivariate volatility

13.

System Dynamics: An Stock Index Model Applied to the Mexican Case

Recent Topics in Time Series and Finance: Theory and Applications in Emerging, Markets, Vol. 3”, with ISBN:978-607-547-003-0. published by Universidad de Guadalajara, 2018.
Number of pages: 25 Posted: 15 May 2018
Universidad Anahuac del Sur, Banco de Mexico and International Institute for Applied Systems Analysis
Downloads 43 (440,271)

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Stock Index, Computational Techniques and Simulation Modeling, Financial Econometrics, Information and Market Efficiency

14.

Exchange Rate Risk Premium: An Analysis of Its Determinants for the Mexican Peso-USD

Banco de México, Working Papers, N° 2016-11
Number of pages: 43 Posted: 13 Jul 2016
Guillermo Benavides
Banco de Mexico
Downloads 40 (452,637)

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Exchange rates, Mexican peso-USD, Risk-Neutral Densities, Risk premiums

15.

Effects of Volatility of the Exchange Rate on Volatility of Inflation: Expectations and Growth Prospects in Mexico (2002-2014)

Ensayos Revista de Economía. Vol. XXXIV, num. 2 pp. 63-78
Number of pages: 16 Posted: 16 Jun 2017
Banco de Mexico, International Institute for Applied Systems Analysis and Instituto Politécnico Nacional
Downloads 26 (519,954)

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16.

Exchange Rate Market Expectations and Central Bank Policy: The Case of the Mexican Peso-US Dollar from 2005-2009

Journal of Derivatives, Vol. 19, No. 4, 2012
Number of pages: 37 Posted: 10 Mar 2011 Last Revised: 02 Jul 2019
Gustavo Abarca, Guillermo Benavides and Jose Gonzalo Rangel
Bank of Mexico, Banco de Mexico and Goldman Sachs Group, Inc. - Global Investment Research
Downloads 22 (543,830)
Citation 5

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Exchange Rates, Interest Rate Targeting, Market Expectations, Mexican Peso-U.S. Dollar Exchange Rate, Monetary Policy, Risk-Neutral Densities

17.

The Demand for Money and Inflation in Mexico 1980-1999: Implications for Stability and Real Seigniorage Revenues

Applied Economics Letters, Vol. 8, No. 12, 2001
Posted: 19 Aug 2009
Paul Turner and Guillermo Benavides
affiliation not provided to SSRN and Banco de Mexico

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Demand for Money, Phillips Curve, Mexico.

18.

Interest Rate Expectations and Monetary Policy News in the Us

Number of pages: 19
Guillermo Benavides
Banco de Mexico
Downloads 0

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interest rates, risk-neutral densities, taper tantrum.